Before using any code, please read the disclaimer.
R package corresponding to
Gorgi, Paolo, Peter R. Hansen, Pawel Janus and Siem Jan Koopman (2018):
"Realized Wishart-GARCH: A Score-driven Multi-Asset Volatility Model",
Journal of Financial Econometrics.
Computer code:
R package Wishart.
GAS package R by
David Ardia, Kris Boudt, and Leopoldo Catania.
Computer code:
R package GAS.
The 'development' version is available from GitHub at
Development code:
Development R package GAS
and will be updated more regularly then the one from CRAN.
Vignette:
"Generalized Autoregressive Score Models in R: The GAS Package".
R package betategarch, v3.0:
Computer code:
R package betategarch.
Vignette:
"betategarch: An R Package for the Simulation and Estimation of Beta-skew-t-EGARCH Models".
R package lgarch:
Computer code:
R package lgarch.
Working paper:
"Unbiased QML Estimation of Log-GARCH Models in the Presence of Zero Returns".
R code for simulations plus estimation of HMM with time varying transition probabilities corresponding to
Bazzi, Blasques, Koopman, Lucas (2016):
"Time Varying Transition Probabilities for Markov Regime Switching Models",
Journal of Time Series Analysis.
Computer code by Marco Bazzi:
R package HMM.
ReadMe file:
ReadMe.R.
Computer code corresponding to
Creal, Koopman, Lucas (2013):
"Generalized Autoregressive Score Models with Applications",
Journal of Applied Econometrics.
Computer code:
Matlab code.
Example GAS volatility program by Rutger Lit and David Kranenburg, Matlab:
Computer code:
Matlab code, example data and readme file.
Computer code for examples in
Lucas, Schaumburg, Schwaab (2018):
"Bank business models at zero interest rates",
Journal of Business and Economic Statistics.
Computer code:
Ox code.
Computer code for
Blasques, Francisco, Jiangyu Ji, and Andre Lucas (2016):
"Semiparametric score driven volatility models",
Journal of Computational Statistics and Data Analysis 100, 58-69.
Computer code:
Ox code.
Computer code corresponding to Creal, Schwaab, Koopman, Lucas (2014):
"Observation Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk,"
Review of Economics and Statistics.
Computer code:
Ox code with macro data.
Computer code corresponding to
Creal, Koopman, Lucas (2013):
"Generalized Autoregressive Score Models with Applications",
Journal of Applied Econometrics.
Computer code:
Ox code.
GAS volatility program, Ox:
Computer code:
Ox code, example data and readme file.
GAS duration program, Ox:
Computer code:
Ox code, example data and readme file.